I've been to McCormick's (as have others here). There will probably be at least a few rookies there, most certainly some people who aren't running the course at 39 off, so absolutely don't get nervous. Just have fun and don't over-try. Ie, skiing your absolute hardest just to make a bouy that doesn't actually matter can end up in falls in the middle of the course, or injuries, or not being able to wipe your a%% the next morning.
A few things...it's very possible that the people driving and "coaching" will change throughout the day, or by whatever boat is ready to pull (usually two of them are on the water) so what they tell you to focus on be different. Pick one or two things and work on that. Also they aren't all "coaches" some are kids who are staying there to train, knowledgeable perhaps, but not always well versed at coaching. One of my "coaches" was French and barely spoke english. His advice on one aspect of what I was doing, was exact opposite from what a "coach" from an earlier set told me.
If you aren't bringing your own ski, vest, gloves, handle...well, you gotta use what they will let you use or buy it. The ski might work fairly well for you, or it might not. Once again, just enjoy skiing as part of your vacation. I got a bit worked up/disgruntled about that part as there were three of us guys that didn't bring our own and were told on site to share the same ski. We were all very different in size (body and feet) and ability (and this ski was OLD, and not even a very good ski when new). I was told over the phone that they had multiple skis like mine at home (a KD at the time) that I could use. Yes, the did have at least 5-6 of my exact skis, but when I asked if I could use one, they said those belonged to other skiers so I needed to use the one they had. One of the guys had really small feet and they had him duct tape himself into the binding. After my 2nd set, I chilled and had some lunch, and realized that nothing has ever been perfect on any vacation, so just go with it. That afternoon and the next day I just said screw it and enjoyed being on the water and talking with others.
I hope that your experience starts off better than mine, but in the end, while wishing I had brought my own ski (which wasn't really possible for that vacation) or been able to use a different one, the reality is that it might not have been set up even close to what I was used to, so it would feel very different anyway.